Measuring the subprime crisis contagion: evidence of change point analysis of copula functions

DOI10.1016/j.ejor.2012.04.004zbMath1253.91186MaRDI QIDQ1926916

Wuyi Ye, Xiaoquan Liu, Baiqi Miao

Publication date: 29 December 2012

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2012.04.004

zbMATH Keywords

risk management; tail dependence; financial contagion; credit crunch; change point tests; Archimedean copula functions

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

62H15: Hypothesis testing in multivariate analysis

62F10: Point estimation

62H05: Characterization and structure theory for multivariate probability distributions; copulas

91G40: Credit risk

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